NxLOCREG - Local or Moving Polynomial Regression

Calculates the forecast of local/moving non-parametric regression (a.k.a., LOESS, LOWESS, Savitzky–Golay filter).

Syntax

NxLOCREG(X, Y, P, Kernel, Alpha, Optimize, Target, Return)

X

is the x-component of the input data table (a one-dimensional array of cells (e.g., rows or columns)).

Y

is the y-component (i.e., function) of the input data table (a one-dimensional array of cells (e.g., rows or columns)).

P

is the polynomial order (0 = constant, 1 = linear, 2 = Quadratic, 3 = Cubic, etc.), etc.). If missing, P = 0.

Kernel

is the weighting kernel function used with KNN-Regression method : 0(or missing) = Uniform, 1 = Triangular, 2 = Epanechnikov, 3 = Quartic, 4 = Triweight, 5 = Tricube, 6 = Gaussian, 7 = Cosine, 8 = Logistic, 9 = Sigmoid, 10 = Silverman.

Value	Kernel
0	Uniform Kernel (default).
1	Triangular Kernel.
2	Epanechnikov Kernel.
3	Quartic Kernel.
4	Triweight Kernel.
5	Tricube Kernel.
6	Gaussian Kernel.
7	Cosine Kernel.
8	Logistic Kernel.
9	Sigmoid Kernel.
10	Silverman Kernel.

Alpha

is the fraction of the total number (n) of data points used in each local fit (between 0 and 1). If missing or omitted, Alpha = 0.333.

Optimize

is a flag (True/False) for searching and using optimal bandwidth (i.e., fraction value or $\alpha$). If missing or omitted, optimize is assumed to be False.

target

is the desired x-value(s) to interpolate for (a single value or a one-dimensional array of cells (e.g., rows or columns)).

Return

is a number that determines the type of return value: 0 = Forecast (default), 1 = errors, 2 = Smoothing parameter (bandwidth), 3 = RMSE (CV). NxREG returns forecast/regression value(s) if missing or omitted.

Return	Description
0	Forecast/Regression value(s) (default).
1	Forecast/Regression error(s).
2	Kernel Smoothing parameter (bandwidth).
3	RMSE (cross-validation).

Remarks

1. Local regression is a non-parametric method combining multiple regression models in a k-nearest-neighbor-based meta-model.
2. Local regression or local polynomial regression (a.k.a., moving regression) is a generalization of moving average and polynomial regression.
3. Its most common methods initially developed for scatterplot smoothing are LOESS (locally estimated scatterplot smoothing) and LOWESS (locally weighted scatterplot smoothing).
4. Outside econometrics, LOESS is known and commonly referred to as the Savitzky–Golay filter, which was proposed 15 years before LOESS.
5. $\alpha$ is called the smoothing parameter because it controls the flexibility of the LOESS regression function. Large values of ${\displaystyle \alpha }$ produce the smoothest functions that wiggle the least in response to fluctuations in the data. The smaller ${\displaystyle \alpha }$ is, the closer the regression function will conform to the data. However, using a value that is too small for the smoothing parameter is not desirable since the regression function will eventually start to capture the random error in the data.
6. The number of rows of the response variable (Y) must equal the number of rows of the explanatory variable (X).
7. Observations (i.e., rows) with missing values in X or Y are removed.
8. NxLOCREG is related to NxKREG, but NxLOCREG uses the nearest K-NN points to calculate kernel bandwidth and conduct its local regression.
9. The time series may include missing values (e.g., #N/A) at either end.
10. The NxLOCREG() function is available starting with version 1.66 PARSON.

Files Examples

Related Links

• Wikipedia - Moving Average
• Wikipedia - kernel regression

References

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